what the hell happened!?!?

[Ghost of Cutten]

Quote from MBC:

Ever notice when volatility is really high lots of "systems" make a decent profit?

Ever notice discretionary traders make a decent profit when volatility is high ?

Ever notice discretion lose more when volatility is low ? Despite selling volatility- because they sell low Vol. when Vol. is low and they ultimatley get chopped and buy it a little higher, or Vol. plain explodes for a week and they lose.
Result, Volatility is usually the one filter that drives this whole business and ET board

OR

pure trend trader/investor, entire different game 6 months to years outlook.

Can't say I have noticed that, no. I've seen systems that work well and then blow up in high volatility environments, ditto for discretionary traders.

If your approach is critically dependent on what's happening with volatility, then you need either a way to forecast future volatility to some extent, or you need multiple approaches that are inversely correlated to each other with respect to volatility (i.e. one that does well in high/rising vol, and one that does well in low/falling vol) to smooth things out. Better still, find a method that is not correlated with volatility.

 

[MBC]

Quote from Ghost of Cutten:

Can't say I have noticed that, no. I've seen systems that work well and then blow up in high volatility environments, ditto for discretionary traders.

If your approach is critically dependent on what's happening with volatility, then you need either a way to forecast future volatility to some extent, or you need multiple approaches that are inversely correlated to each other with respect to volatility (i.e. one that does well in high/rising vol, and one that does well in low/falling vol) to smooth things out. Better still, find a method that is not correlated with volatility.

+1

"respect to volatility (i.e. one that does well in high/rising vol, and one that does well in low/falling vol) to smooth things out. Better still, find a method that is not correlated with volatility."

hard to find though! I have the higher Volatility model, now I need o build a trend or lower vol model....

Thanks

 

[feng456]

Quote from Ghost of Cutten:

So, if someone had told you that nothing would work, you wouldn't have tried trading at all? What if someone said the moon is made of blue cheese? I must say, the idea of assuming something to be true, *just because one person said so*, is a bit strange.

it came from a reliable source from a respected person with a proven track record...among other people. so no it wasn't some ridiculous statement made by a condescending hack...but thanks for the extreme analogies you used to express your views. i'm surprised hitler wasn't in there somewhere.

 

[sprstpd]

Quote from Ghost of Cutten:

That's really interesting, I've never felt good about taking big risks, even when they paid off. How can you not feel bad about the potential big drawdowns and even blowup that you are risking?

Personally I would. I don't see how people over-leverage in such spectacular fashion and blow up. But it happens all the time. Some people must be predisposed to gambling in a huge way.

 

[sle]

Quote from MBC:
Part of the problem with trading, nobody sticks together forms organizations. Just a few people sit around and tell others that they are wrong all the time and they cant do it etc etc.

It is a problem with doing anything as an individual. If you do not have a community to critique your actions and ideas, you are most probably going to make the same mistakes other people have made. ET, unfortunately, can not be considered a true community - too many people here are either leeches or testosterone-intoxicated egomaniacs. And the fear of "you gonna steal my lunch" usually overshadows the fact that most of the ideas to be shared are common sense.

I wish someone would create a smallish, selective trading community online - the ability to bounce ideas off each other and to leverage on other peoples skills/knowledge (e.g. one person is a discretionary oil trader, another is a stat arb trader) would make a place like that invaluable.

 

[MBC]

Quote from sle:

It is a problem with doing anything as an individual. If you do not have a community to critique your actions and ideas, you are most probably going to make the same mistakes other people have made. ET, unfortunately, can not be considered a true community - too many people here are either leeches or testosterone-intoxicated egomaniacs. And the fear of "you gonna steal my lunch" usually overshadows the fact that most of the ideas to be shared are common sense.

I wish someone would create a smallish, selective trading community online - the ability to bounce ideas off each other and to leverage on other peoples skills/knowledge (e.g. one person is a discretionary oil trader, another is a stat arb trader) would make a place like that invaluable.

I agree

LinkedIn I found useless, lot of garbage.

I would be interesting in getting this started.

Would it be free?
Would it be anonymous?
How can you really stop the dumb behavior rants?
“Selective” meaning only a couple topics or threads?

 

[baro-san]

Quote from feng456:

I've been doing an automated strategy ... How does a system all of a sudden do that?

It seems you swing trade (you mentioned 10 trades / month), and you didn't mention what you trade (at least I didn't find it). Obviously your tested method is curve fitted to certain types of markets. You have to determine what are the type of markets in which your method doesn't work, and then a way to anticipate them. Look at a chart to see how June and December are alike, then look back of the four years you back tested and check similar periods' results. If you correctly identified the commonality that makes your method fail, you'll find that it performed poorly in other similar periods. They may be points where, on a higher time frame, the market turns in a specific way, e.g. before resuming the dominant trend. The market is currently in an uncharted territory if you're looking only to the last 20 -30 years. Nothing works reliably based only on statistics. You have to vet it thoroughly.

 

[baro-san]

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=3397697>

 

[HurricaneUS]

Quote from Ghost of Cutten:

No, that's not the lesson. If that was the lesson, you wouldn't have made this post, because you would have no expectation that the post would be made, the internet would still be here, the world would not have exploded, the universe would not have ended etc.

The past is very indicative of the future. But flawed understandings of the past are not very good at predicting the future.

You're being academic as if this is philosophy 101 but I'm being practical. As I said....the past is not indicative of the future when it comes to trading. All trading systems ultimately fail....ALL

Whether you have ever traded successfully will dictate your response.

 

[Wide Tailz]

Quote from HurricaneUS:

You're being academic as if this is philosophy 101 but I'm being practical. As I said....the past is not indicative of the future when it comes to trading. All trading systems ultimately fail....ALL

Whether you have ever traded successfully will dictate your response.

+++

The market changes with respect to your system's performance because speculators, seeking the same as you, keep changing their own strategies when they wear out. Their behavior makes up much of the market's behavior.

Take comfort in the Japanese manufacturing model of continuous improvement. If you continually look for incremental benefits and branch out with variety, you stand a chance of being where no one else is, before they realize they want to take your position, via your cash register.............